Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2008

• BARHOUMI, K. & BRUNHES-LESAGE, V. & DARNÉ, O. & Laurent Ferrara & PLUYAUD, B. & ROUVREAU, B., 2008, "OPTIM : un outil de prévision trimestrielle du PIB de la France," Bulletin de la Banque de France, Banque de France, issue 171, pages 31-42.
• Barhoumi, K. & Brunhes-Lesage, V. & Ferrara, L. & Pluyaud, B. & Rouvreau, B. & Darné, O., 2008, "OPTIM: a quarterly forecasting tool for French GDP," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 31-47, Autumn.
• Luca Fanelli, 2008, "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 53-66, February, DOI: 10.1111/j.1468-0084.2007.00490.x.
• Michael G. Arghyrou & Georgios Chortareas, 2008, "Current Account Imbalances and Real Exchange Rates in the Euro Area," Review of International Economics, Wiley Blackwell, volume 16, issue 4, pages 747-764, September, DOI: 10.1111/j.1467-9396.2008.00773.x.
• Fabio Milani, 2008, "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 1, pages 1-30, February, DOI: 10.1111/j.1467-9485.2008.00446.x.
• Ida Wolden Bache, 2008, "Assessing estimates of the exchange rate pass-through," Working Paper, Norges Bank, number 2007/12, Jan.
• Ida Wolden Bache & Bjørn E. Naug, 2008, "Estimating New Keynesian import price models," Working Paper, Norges Bank, number 2007/15, Jan.
• Christian Kascha & Karel Mertens, 2008, "Business cycle analysis and VARMA models," Working Paper, Norges Bank, number 2008/05, Apr.
• Manos Matsaganis & Theodore Mitrakos & Panos Tsakloglou, 2008, "Modelling Household Expenditure on Health Care in Greece," Working Papers, Bank of Greece, number 68, Mar.
• Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno, 2008, "SWARCH and the implicit volatility of the Real/USD exchange rate," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 235-265.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2008, "The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach," Working Papers, Brock University, Department of Economics, number 0803, Apr.
• Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008, "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0808, Jan.
• Pesaran, M.H. & Zaffaroni, P., 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0813, Mar.
• Carlos Santos, 2008, "Selection on the basis of prior testing," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 062008, Sep.
• Andersson, Magnus & D'Agostino, Antonello, 2008, "Are sectoral stock prices useful for predicting euro area GDP?," Research Technical Papers, Central Bank of Ireland, number 2/RT/08, Apr.
• Oscar Jorda & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Working Papers, University of California, Davis, Department of Economics, number 131, Jul.
• Arghyrou, Michael G & Gadea, Maria Dolores, 2008, "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/23, Oct.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/32, Dec, revised Jul 2011.
• Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008, "Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 527, Feb.
• Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008, "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp349, Mar.
• M. Hashem Pesaran & Allan Timmermann, 2004, "Real Time Econometrics," CESifo Working Paper Series, CESifo, number 1169.
• Thomas A. Knetsch, 2004, "Evaluating the German Inventory Cycle – Using Data from the Ifo Business Survey," CESifo Working Paper Series, CESifo, number 1202.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series, CESifo, number 1358.
• Sebastian Buhai & Coenraad N. Teulings, 2006, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," CESifo Working Paper Series, CESifo, number 1688.
• M. Hashem Pesaran & Allan Timmermann, 2006, "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series, CESifo, number 1770.
• M. Hashem Pesaran & Paolo Zaffaroni, 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series, CESifo, number 2326.
• Jan Grossarth-Maticek & Johannes Mayr, 2008, "Medienberichte als Konjunkturindikator," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 61, issue 07, pages 17-29, April.
• Nikolay Robinzonov & Klaus Wohlrabe, 2008, "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 57.
• Tahir Andrabi & Jishnu Das & Asim Ijaz Khwaja & Tristan Zajonc, 2008, "Do Value-Added Estimates Add Value? Accounting for Learning Dynamics," CID Working Papers, Center for International Development at Harvard University, number 158, Mar.
• Javier Mencía & Enrique Sentana, 2008, "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers, CEMFI, number wp2008_0804, Apr.
• Javier Mencía & Enrique Sentana, 2008, "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers, CEMFI, number wp2008_0805, Apr.
• Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2008, "Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators," Economics Program Working Papers, The Conference Board, Economics Program, number 08-04, Nov.
• Elkin Castano & Karoll Gómez & Santiago Gallón, 2008, "Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas De Riesgo Financiero Usando C�Pulas: Teor�A Y Aplicaciones," Borradores de Economia, Banco de la Republica, number 4523, Feb.
• Dairo Estrada & Javier Guti�rrez Rueda, 2008, "Supervisi�N Y Regulaci�N Del Sistema Financiero:Modelos Implicaciones Y Alcances," Borradores de Economia, Banco de la Republica, number 4543, Feb.
• Andr�s Gonz�lez & Hern�n Rinc�m & Norberto Rodr�guez, 2008, "La transmisi�n de los choques a la tasa de cambio sobre la inflaci�n," Borradores de Economia, Banco de la Republica, number 5089, Oct.
• Rubén Darío Sepúlveda Vargas, 2008, "Valoración económica del uso recreativo del Parque Ronda del Sinú, en Montería, Colombia," Revista Semestre Económico, Universidad de Medellín.
• Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans, 2008, "Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts," CPB Document, CPB Netherlands Bureau for Economic Policy Analysis, number 172, Oct.
• Canova, Fabio, 2008, "How much structure in empirical models?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6791, Apr.
• Marcellino, Massimiliano & Jordà , Ã’scar, 2008, "Path Forecast Evaluation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7009, Oct.
• Dolado, Juan J & Stucchi, Rodolfo, 2008, "Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7055, Nov.
• Linde, Jesper & Jacobson, Tor & Roszbach, Kasper & Kindell, Rikard, 2008, "Firm Default and Aggregate Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7083, Dec.
• Chernov, Mikhail & Bikbov, Ruslan, 2008, "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7096, Dec.
• Janine Aron & John Muellbauer, 2008, "Multi-sector inflation forecasting - quarterly models for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2008-27.
• Giovanni Cerulli, 2008, "Modelling and measuring the effects of public subsidies on business R&D: theoretical and econometric issues," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200803, Jun.
• Giovanni Cerulli & Bianca Poti', 2008, "Evaluating the Effect of Public Subsidies on firm R&D activity: an Application to Italy Using the Community Innovation Survey," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 200809, Dec.
• Moreno, M. & Serrano, P. & Stute, Winfried, 2008, "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb084912, Oct.
• Escribano, Álvaro & Stucchi, Rodolfo, 2008, "Catching up in total factor productivity through the business cycle : evidence from Spanish manufacturing surveys," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we085125, Nov.
• Busetti, Fabio & Harvey, Andrew, 2008, "Testing For Trend," Econometric Theory, Cambridge University Press, volume 24, issue 1, pages 72-87, February.
• Leeb, Hannes & Pötscher, Benedikt M., 2008, "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, volume 24, issue 2, pages 338-376, April.
• Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008, "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, volume 24, issue 2, pages 404-447, April.
• Kaltsas, Ioannis K. & Bosch, Darrell J. & McGuirk, Anya, 2008, "Residential Land Values in Urbanizing Areas," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 40, issue 2, pages 635-647, August.
• Jeong, Hyeok & Townsend, Robert M., 2008, "Growth And Inequality: Model Evaluation Based On An Estimation-Calibration Strategy," Macroeconomic Dynamics, Cambridge University Press, volume 12, issue S2, pages 231-284, September.
• Christian Dreger & Jürgen Wolters, 2008, "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.1a.
• Christian Dreger & Jürgen Wolters, 2008, "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.1b.
• Christian Dreger & Jürgen Wolters, 2008, "M3 Money Demand and Excess Liquidity in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 795.
• Christian Dreger & Jürgen Wolters, 2008, "Money Velocity and Asset Prices in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 813.
• Walter Sosa Escudero & Anil K. Bera, 2008, "Tests for Unbalanced Error Component Models Under Local Misspecication," CEDLAS, Working Papers, CEDLAS, Universidad Nacional de La Plata, number 0065, Mar.
• Akhand Akhtar Hossain, 2008, "Responses of Agricultural Prices, Industrial Prices and the Agricultural Terms of Trade to Money Supply Shocks in Bangladesh, 1973M1-2006M6," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 43, issue 1, pages 287-314, December.
• Inoue, Atsushi & Rossi, Barbara, 2008, "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers, Duke University, Department of Economics, number 08-02.
• Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008, "Can Exchange Rates Forecast Commodity Prices?," Working Papers, Duke University, Department of Economics, number 08-03.
• Giacomini, Raffaella & Rossi, Barbara, 2008, "Forecast Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics, number 08-04.
• Tatevik Sekhposyan & Barbara Rossi, 2008, "Has modelsí forecasting performance for US output growth and inflation changed over time, and when?," Working Papers, Duke University, Department of Economics, number 09-02.
• Sushil Mohan & Bill Russell, 2008, "Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 221, Dec.
• Benati, Luca & Surico, Paolo, 2008, "VAR analysis and the Great Moderation," Working Paper Series, European Central Bank, number 866, Feb.
• Andersson, Magnus & D'Agostino, Antonello, 2008, "Are sectoral stock prices useful for predicting euro area GDP?," Working Paper Series, European Central Bank, number 876, Feb.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008, "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series, European Central Bank, number 903, May.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008, "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series, European Central Bank, number 922, Jul.
• Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008, "International stock return comovements," Working Paper Series, European Central Bank, number 931, Sep.
• McAdam, Peter & Mestre, Ricardo, 2008, "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Working Paper Series, European Central Bank, number 950, Oct.
• Hahn, Elke & Skudelny, Frauke, 2008, "Early estimates of euro area real GDP growth: a bottom up approach from the production side," Working Paper Series, European Central Bank, number 975, Dec.
• Alberto Abadie & Guido W. Imbens, 2008, "On the Failure of the Bootstrap for Matching Estimators," Econometrica, Econometric Society, volume 76, issue 6, pages 1537-1557, November.
• Gallo, Giampiero M. & Otranto, Edoardo, 2008, "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 3011-3026, February.
• Hautsch, Nikolaus, 2008, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 12, pages 3978-4015, December.
• Clarke, Judith A., 2008, "On weighted estimation in linear regression in the presence of parameter uncertainty," Economics Letters, Elsevier, volume 100, issue 1, pages 1-3, July.
• Zhao, Zhong, 2008, "Sensitivity of propensity score methods to the specifications," Economics Letters, Elsevier, volume 98, issue 3, pages 309-319, March.
• Jondeau, Eric & Sahuc, Jean-Guillaume, 2008, "Testing heterogeneity within the euro area," Economics Letters, Elsevier, volume 99, issue 1, pages 192-196, April.
• Gao, Jiti & Casas, Isabel, 2008, "Specification testing in discretized diffusion models: Theory and practice," Journal of Econometrics, Elsevier, volume 147, issue 1, pages 131-140, November.
• Loss, Frederic & Malavolti-Grimal, Estelle & Verge, Thibaud & Berges-Sennou, Fabian, 2008, "European competition policy modernization: From notifications to legal exception," European Economic Review, Elsevier, volume 52, issue 1, pages 77-98, January.
• Zhang, Xibin & King, Maxwell L., 2008, "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, volume 15, issue 3, pages 549-566, June.
• Siklos, Pierre L., 2008, "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, volume 45, issue 2, pages 164-184, April.
• Ané, Thierry & Ureche-Rangau, Loredana, 2008, "Does trading volume really explain stock returns volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 3, pages 216-235, July.
• Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: Intra-day versus inter-day models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 5, pages 449-465, December.
• Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008, "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 566-587.
• Paolella, Marc S. & Taschini, Luca, 2008, "An econometric analysis of emission allowance prices," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2022-2032, October.
• Akram, Q. Farooq & Eitrheim, Øyvind, 2008, "Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output?," Journal of Banking & Finance, Elsevier, volume 32, issue 7, pages 1242-1254, July.
• Russell, Bill & Banerjee, Anindya, 2008, "The long-run Phillips curve and non-stationary inflation," Journal of Macroeconomics, Elsevier, volume 30, issue 4, pages 1792-1815, December.
• Edmark, Karin & Ågren, Hanna, 2008, "Identifying strategic interactions in Swedish local income tax policies," Journal of Urban Economics, Elsevier, volume 63, issue 3, pages 849-857, May.
• Richard Dennis, 2008, "The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-19, Apr.
• Benjamín García Martínez & Arturo Lorenzo Valdés, 2008, "La matriz de covarianzas de residuales en la asignación y valuación de activos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 162-178.
• A. Nazif Catik & Christopher Martin & A. Özlem Önder, 2008, "Relative Price Variability and the Philips Curve: Evidence from Turkey," Working Papers, Ege University, Department of Economics, number 0807, Jul.
• Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2008, "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25092, Feb.
• Garcés Díaz, Daniel G., 2008, "Análisis de las funciones de importación y exportación de México (1980-2000)," El Trimestre Económico, Fondo de Cultura Económica, volume 75, issue 297, pages 109-141, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v75i.
• Xavier de Luna & Per Johansson, 2008, "Graphical diagnostics of endogeneity," Advances in Econometrics, Emerald Group Publishing Limited, "Modelling and Evaluating Treatment Effects in Econometrics", DOI: 10.1016/S0731-9053(07)00006-0.
• Dimitris Korobilis, 2008, "Forecasting in vector autoregressions with many predictors," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23012-4.
• Michael K. Andersson & Sune Karlsson, 2008, "Bayesian forecast combination for VAR models," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23015-X.
• Franses, Ph.H.B.F. & Segers, R., 2008, "Seasonality in revisions of macroeconomic data," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-09, Apr.
• Guillermo Benavides Perales & Israel Felipe Mora Cuevas, 2008, "Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 33-52, May.
• Markku Lanne & Pentti Saikkonen, 2008, "Modeling Expectations with Noncausal Autoregressions," Economics Working Papers, European University Institute, number ECO2008/20.
• Òscar Jordà & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2008/34.
• Vít Bubák, 2008, "Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/18, Sep, revised Sep 2008.
• Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008, "Evaluating Value-at-Risk models via Quantile regressions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 679, Sep.
• Jing-zhi Huang & Hao Zhou, 2008, "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2008-55.
• Tor Jacobson & Rikard Kindell & Jesper Lindé & Kasper Roszbach, 2008, "Firm default and aggregate fluctuations," Working Papers, Federal Reserve Bank of Philadelphia, number 08-21.
• Dean Croushore, 2008, "Frontiers of real-time data analysis," Working Papers, Federal Reserve Bank of Philadelphia, number 08-4.
• Christian T. Brownlees & Giampiero Gallo, 2008, "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2008_03, Feb.
• Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008, "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2008_09, Jun.
• Frédéric Loss & Estelle Malavolti & Thibaud Vergé & Fabian Bergès-Sennou, 2008, "European competition policy modernization : from notifications to legal exception," Post-Print, HAL, number hal-01021575, Jan, DOI: 10.1016/j.euroecorev.2007.02.001.
• Eric Jondeau & Jean-Guillaume Sahuc, 2008, "Testing Heterogeneity within the Euro Area," Post-Print, HAL, number hal-01612713.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363146, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363165, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363168, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364793.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based-Test," Post-Print, HAL, number halshs-00364796.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364797.
• Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers, HAL, number halshs-00329495, Oct.
• Hussain, S & Mohamed, M. A. & Holder, R. & Almasri, A. & Shukur, G, 2008, "Performance Evaluation Based on the Robust Mahalanobis Distance and Multilevel Modelling Using Two New Strategies," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 114, Feb.
• Amado, Cristina & Teräsvirta, Timo, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 691, Jan.
• Mellander, Erik & Sandgren-Massih, Sofia, 2008, "Proxying ability by family background in returns to schooling estimations is generally a bad idea," Working Paper Series, IFAU - Institute for Evaluation of Labour Market and Education Policy, number 2008:22, Oct.
• Åsberg Sommar, Per & Shahnazarian, Hovick, 2008, "Macroeconomic Impact on Expected Default Frequency," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 219, Jan.
• Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper, 2008, "Firm Default and Aggregate Fluctuations," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 226, Sep.
• Andersson, Henrik & Hammitt, James & Lindberg, Gunnar & Sundström, Kristian, 2008, "Willingness to Pay for Car Safety: Sensitivity to Time Framing," Working Papers, Swedish National Road & Transport Research Institute (VTI), number 2008:8, Jul.
• Söderberg, Jonas, 2008, "Test of the Gaussian Copula on the Swedish Stock Market," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:9, Dec.
• Lillie Lam & Laurence Fung & Ip-wing Yu, 2008, "Comparing Forecast Performance of Exchange Rate Models," Working Papers, Hong Kong Monetary Authority, number 0808, Jun.
• Felix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2008, "Stability Tests for Heterogeneous Panel Data," Working Papers, Hong Kong Institute for Monetary Research, number 092008, Sep.
• Maximilian J. B. Hall & Karligash A. Kenjegalieva & Richard Simper, 2008, "Environmental Factors Affecting Hong Kong Banking: A Post-Asian Financial Crisis Efficiency Analysis," Working Papers, Hong Kong Institute for Monetary Research, number 122008, Dec.
• Mitnik, Oscar K. & Imbens, Guido & Hotz, V. Joseph & Crump, Richard K., 2008, "Nonparametric Tests for Treatment Effect Heterogeneity," Scholarly Articles, Harvard University Department of Economics, number 3039049.
• Imbens, Guido & Abadie, Alberto, 2008, "On the Failure of the Bootstrap for Matching Estimators," Scholarly Articles, Harvard University Department of Economics, number 3043415.
• Christos Floros, 2008, "Long Memory In Exchange Rates: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 31-39.
• Robert Finger & Werner Hediger, 2008, "The Application of Robust Regression to a Production Function Comparison – the Example of Swiss Corn," IED Working paper, IED Institute for Environmental Decisions, ETH Zurich, number 08-02, Jun.
• Oliver Linton & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2008, "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP08/08, Mar.
• Guido Imbens & Jeffrey M. Wooldridge, 2008, "Recent developments in the econometrics of program evaluation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP24/08, Aug.
• Richard Blundell & Monica Costa Dias, 2008, "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP26/08, Oct.
• Jumah, Adusei & Kunst, Robert M., 2008, "Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging," Economics Series, Institute for Advanced Studies, number 231, Nov.
• Schneider, Ulrike & Wagner, Martin, 2008, "Catching Growth Determinants with the Adaptive LASSO," Economics Series, Institute for Advanced Studies, number 232, Nov.
• Nezir KÖSE & Yeliz YALÇIN & Furkan EMİRMAHMUTOĞLU, 2008, "Türkiye turizm sektörünün talep analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 263, pages 24-40.
• Jyotirmayee Kar & Mahamaya Kar, 2008, "Environment and Changing Agricultural Practices: Evidence from Orissa, India," Indus Journal of Management & Social Science (IJMSS), Department of Business Administration, volume 2, issue 2, pages 119-128, December.
• Sophocles N. Brissimis & Nicholas S. Magginas, 2008, "Inflation Forecasts and the New Keynesian Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, volume 4, issue 2, pages 1-22, June.
• Ippei Fujiwara, 2008, "Growth Expectation," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 08-E-21, Sep.
• Daniel Millimet & Rusty Tchernis, 2008, "Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2008-008, Apr.
• Juan Carlos Escanciano & Carlos Velasco, 2008, "Specification Tests of Parametric Dynamic Conditional Quantiles," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2008-021, Aug.
• Sara Castellanos & Marco Oviedo, 2008, "Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 131, pages 3-28.
• Michalis Petrides & Alex Karagrigoriou, 2008, "Determinants of Debt: An Econometric Analysis Based on the Cyprus Survey of Consumer Finances," Financial Theory and Practice, Institute of Public Finance, volume 32, issue 1, pages 45-64.
• Giancarlo Bruno, 2008, "Forecasting Using Functional Coefficients Autoregressive Models," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 98, Jun.
• Kovandzic, Tomislav & Schaffer, Mark E & Kleck, Gary, 2008, "Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach," IZA Discussion Papers, IZA Network @ LISER, number 3589, Jul.
• Millimet, Daniel L. & Tchernis, Rusty, 2008, "Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails," IZA Discussion Papers, IZA Network @ LISER, number 3632, Aug.
• Imbens, Guido W. & Wooldridge, Jeffrey M., 2008, "Recent Developments in the Econometrics of Program Evaluation," IZA Discussion Papers, IZA Network @ LISER, number 3640, Aug.
• Warin, Thierry & Wunnava, Phanindra V. & Janicki, Hubert P., 2008, "Testing Mundell's Intuition of Endogenous OCA Theory," IZA Discussion Papers, IZA Network @ LISER, number 3739, Sep.
• Blundell, Richard & Costa Dias, Monica, 2008, "Alternative Approaches to Evaluation in Empirical Microeconomics," IZA Discussion Papers, IZA Network @ LISER, number 3800, Oct.
• Dolado, Juan J. & Stucchi, Rodolfo, 2008, "Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms," IZA Discussion Papers, IZA Network @ LISER, number 3832, Nov.
• Alexander Mihailov & Fabio Rumler & Johann Scharler, 2008, "The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2008-17, Sep.
• Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008, "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 4, pages 279-291, DOI: 10.1002/for.1061.
• Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2008, "Testing for Granger (non-)causality in a time-varying coefficient VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 4, pages 293-303, DOI: 10.1002/for.1060.
• Hyndman, Rob J. & Khandakar, Yeasmin, 2008, "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, volume 27, issue i03, DOI: http://hdl.handle.net/10.18637/jss..
• Thomas Busch, 2008, "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, volume 11, issue 1, pages 61-81, March, DOI: 10.1007/s11147-008-9024-z.
• Christian Conrad & Menelaos Karanasos, 2008, "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 08-189, Feb, DOI: 10.3929/ethz-a-005552237.
• Kristóf, Tamás, 2008, "A csődelőrejelzés és a nem fizetési valószínűség számításának módszertani kérdéseiről
  [Some methodological questions of bankruptcy prediction and probability of default estimation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 441-461.
• Karligash Kenjegalieva & Maximilian J. B. Hall & Richard Simper, 2008, "Environmental Factors Affecting Hong Kong Banking: A Post-Asian Financial Crisis Efficiency Analysis," Discussion Paper Series, Department of Economics, Loughborough University, number 2008-01, Jun, revised Jun 2008.
• Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper, 2008, "Banking Efficiency and Stock Market Performance: An Analysis of Listed Indonesian Banks," Discussion Paper Series, Department of Economics, Loughborough University, number 2008_07, Aug, revised Aug 2008.
• Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper, 2008, "Efficiency and Malmquist Indices of Productivity Change in Indonesian Banking," Discussion Paper Series, Department of Economics, Loughborough University, number 2008_08, Aug, revised Aug 2008.
• Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper, 2008, "Efficiency in Indonesian Banking: Recent Evidence," Discussion Paper Series, Department of Economics, Loughborough University, number 2008_13, Nov, revised Nov 2008.
• Deborah Gefang & Rodney Strachan, 2008, "Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/4, Jan.
• Gilbert COLLETAZ & Christophe HURLIN & Sessi TOKPAVI, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 266.
• Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008, "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche, GREEN, number 0801.
• Don Bredin & Stilianos Fountas, 2008, "Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_01, Jan, revised Jan 2008.
• Catherine Kyrtsou & Michel Terraza, 2008, "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_09, Sep, revised Sep 2008.
• Theodore Panagiotidis, 2008, "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_14, Dec, revised Dec 2008.